"I've been shaking my head a lot quite frankly the last 36 hours ... Michael and Brad, shame on both of you," he said, adding that they've possibly scared "millions of investors in an effort to promote a business model."

CNBC correspondent Bob Pisani asked Katsuyama if he thought the markets were rigged.

"I think it's really hard to put a word on it," Katsuyama began.

O'Brien jumped in. "He said it in the book. You said it in the book ... it's disgusting that you're trying to parse your words now. You can't say that ... Do you believe it or not? Because you said it."

"I believe the markets are rigged. And I also think that you're a part of the rigging. So if you want to do this, let's do this," Katsuyama said.

Katsuyama said that it's the responsibility of a venue to fairly price trades between fast and slow participants.

The brokers on the floor of the New York Stock Exchange exploded with cheers at this comment.

"You had a 300-page commercial, OK? So let me talk," O'Brien shot back later in the interview, referring to Lewis' new book.

During the interview, Katsuyama said he thought we should get rid of the term "high-frequency trading."

"You used it 20 times in your book!" O'Brien said.

"It's not his book," CNBC anchor Tyler Mathisen jumped in before they brought Michael Lewis back into the discussion.

"I've been enjoying that," Lewis said. "It's great to see Bill ... tell Brad he's doing this to promote a business model." He added that O'Brien was saying "shame on you" to Katsuyama.